Tap into the power of the most popular stochastic volatility model for pricing equity
derivatives Since its introduction in 1993, the Heston model has become a popular model for …

The Fourier cosine expansion (COS) method is used for pricing European options
numerically very fast. To apply the COS method, a truncation range for the density of the log …

In this paper, we consider the pricing of American options under a regime-switching double
Heston model, such that the interest rate and mean-reversion level parameters in both …

This paper focuses on pricing American put options under the double Heston model
proposed by Christoffersen et al. By introducing an explicit exercise rule, we obtain the …

This paper proposes a novel approach to pricing of American put option under double
Heston model. We develop an analytical solution to the double Heston partial differential …

Practical options pricing for better-informed investment decisions. The Heston Model and Its
Extensions in VBA is the definitive guide to options pricing using two of the derivatives …

In this paper, we focus on two-factor lattices for general diffusion processes with state-
dependent volatilities. Although it is common knowledge that branching probabilities must …

We consider the pricing and hedging of American put options under the double Heston
model with CIR stochastic interest rate. With an explicit exercise rule American option is …

The purpose of the paper is to provide an efficient pricing algorithm for American options
with stochastic volatilities and jumps. This paper extends the double Heston model with …

American options have been traded in financial markets for many years. However, there is
still no exact solution for option pricing problem, considering real-world conditions. In this …